Options Under Transaction Costs: Algorithms for Pricing and Hedging ofEuropean and American Options Under ProportionalTransaction Costs and Different Borrowing and Lending Rates - Softcover

Options Under Transaction Costs : Algorithms for Pricing and Hedging ofEuropean and American Options Under ProportionalTransaction Costs and Different Borrowing and Lending Rates

Taschenbuch. Zustand: Neu. Neuware - This book is aimed at researchers and PhD studentsin mathematical finance. It studies the pricing andhedging of options in ¿nancial markets withproportional transaction costs on trading in shares,modeled as bid-ask spreads, and different interestrates for borrowing and lending of cash. This isdone by means of fair pricing and super-hedging.The fair price of an option is any market price forit that does not allow traders to make profit withno risk, and a super-hedging strategy allows theseller and buyer to remain in a solvent positionafter respectively delivering and receiving theoption payoff. Efficient algorithms are presentedfor computing the bid and ask prices of European andAmerican options; these prices serve as bounds onthe fair prices. This unifies all existing algorithmsfor the calculation of such prices. As a by-product,a straightforward iterative method is found fordetermining the optimal super-hedging strategies(and stopping times) for both the buyer and sellerof an option, and also optimal stopping strategiesin the case of American options. Artikel-Nr. 9783836492393

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